So, I've been playing around with Calibre for a couple days as i just got a kindle 2 this week. some how, one series of books i have... sorts exactly the way it sounds we all want. series is in numerical order within that author's group when the Kindle is set to sort by author. (just to be clear, no, the book titles arent alphabetical)

poked around to see why this was happening, i originally thought the series info in the metadata was being read but no such luck. then i noticed that in the /my ebooks/authorName/ directory...

checked the rest of my stuff and this is the only series that happens to be sequential as far as the numbers are concerned.

Blue_Adept - Anthony_Piers.mobi (in the directory on my PC)

becomes

Blue_Adept_-_Anthony,_Piers_52.mobi

That is convenient if it helps the kindle sort buy file name in some way. But, I don't think it does. Also, those numbers in calibre are sequential across all ebooks in your library and is incremented for each book you add. So, unless you add the books in the series in series order they won't actually be in the correct sequence.